White Papers

High Yield

High Yield Commodities

Provides an analysis of commodity-related exposure in the US High Yield Market.

High Yield Energy Sector

Discusses the the outlook for the high yield energy sector given the increased volatility in the energy markets driven by the price of oil.

Caveat Indexer: The Case for Small-Issue High Yield Bonds

Explores the benefits of a high yield strategy that emphasizes lesser followed, smaller issues given these smaller issue tend, for a variety of reasons, to offer greater value in terms of yield per unit of default risk while providing information dynamics that provide an opportunity for an active manager to add security-specific alpha above and beyond the simple “liquidity premium” observed in the high yield market.

Liability Driven Investments (LDI)

Examines the structure of the risk premium and the asset allocation decision of an investor who has a target return objective. This objective introduces the stochastic investment horizon, the complementary approach to traditional mean–variance analysis, and we analyze the role and implications of stochastic horizons in liability-driven investing.

Investment Grade Fixed Income

Rising Interest Rates: The Impact on Bond Portfolios, Other Asset Classes and the Asset Allocation Decision

Addresses the role of traditional fixed income in the asset allocation and helps guide expectations by providing scenario analysis for different rate increases in a low yield environment.

Using Yield Curve Shapes to Manage Bond Portfolios

Discusses how multiple discriminant analysis can be used to extract and utilize the information contained in the shapes of the yield curve to enhance the returns of investment portfolios.

The Benefit of Actively Managed Bond Separate Accounts in a Portfolio

Explores the benefit of positioning investment grade fixed income separate accounts in a diversified fixed income allocation.

The Mortgage-backed Securities Market: Risks, Returns and Replication

Provides an introduction to the Mortgage-backed Securities market and the attractiveness of the sector while exploring how to best replicate the index and how to add additional value via quantitative techniques.

Addresses the benefits of an allocation to traditional fixed income even in a low rate environment given the asset class’s non-correlation to equities and the historical experiences of other global markets.

Construction and Diversification of a BBB portfolio that replicates the Index

Discusses how to best replicate the BBB component of the corporate bond index.

REITS

Why Invest in Grain-Producing Farmland?

Provides a rationale for the benefits of holding farmland in a diversified portfolio given expected future increases in global food demand and farmland’s role as an inflation hedge.

Why Mortgage Backed Securities Are Negatively Convexed

Discusses mortgage-backed securities and the concept of negative convexity while addressing why convexity is important in analyzing these securities.

Yield and Profitability Measures of a Real Estate Investment Trust

Provides a brief description of the Mortage REIT (M-REIT) market and methods for analyzing the sector.